| Overall Statistics |
|
Total Trades 74 Average Win 0.43% Average Loss -0.45% Compounding Annual Return 14.709% Drawdown 3.500% Expectancy 0.221 Net Profit 3.686% Sharpe Ratio 1.498 Probabilistic Sharpe Ratio 60.808% Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.96 Alpha 0.079 Beta 0.356 Annual Standard Deviation 0.055 Annual Variance 0.003 Information Ratio 0.973 Tracking Error 0.075 Treynor Ratio 0.231 Total Fees $85.67 Estimated Strategy Capacity $57000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
# Enter if price > yest close exit EOD
class EmotionalFluorescentPinkSalmon(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 1)
self.SetEndDate(2021, 10, 5)
self.SetCash(100000)
self.stock = self.AddEquity("SPY", Resolution.Minute).Symbol
self.SetWarmUp(1, Resolution.Daily)
self.yest_close = self.SMA(self.stock, 1, Resolution.Daily, Field.Close)
def OnData(self, data):
if self.IsWarmingUp or not self.yest_close.IsReady or not len(data.Bars) > 0: return
if self.Time.hour == 9 and self.Time.minute == 45:
price = self.Securities[self.stock].Price
yest_close = self.yest_close.Current.Value
self.Plot("Indicator", "yest close", yest_close)
self.Plot("Indicator", "price", price)
if price > yest_close and not self.Portfolio.Invested:
self.SetHoldings(self.stock, 1)
if self.Time.hour == 15 and self.Time.minute == 45:
self.Liquidate(self.stock)